In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of … Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the … [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling …

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference … to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of …-Bayesian and [increasingly] Bayesian – continues to be a key methodological foundation of risk management and regulation related …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

Risk forecasting is crucial for informed investment decision-making. Moreover, the salience of investment risk … increases during economically uncertain times. In this paper, we study how sell-side analysts form expectations of firm risk … use of quantitative/qualitative information improves their forecasts as predictors of firm risk. Together, our results …

methods in the Markowitz portfolio theory. This article contains an overview of the most important robust estimators applied … in the portfolio theory. All the methods have been grouped according to the method of determining the outliers and to the …

-strategy combination performs better in terms of expected return and risk than a larger basic model-strategy combination. Dynamic patterns …, from a risk-management perspective …

have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The …

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further … eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques … contributes to a more comprehensive firm-level idiosyncratic risk that is crucial in both portfolio diversification and alpha …